Rates Vol Structures Gain Favor

Interest-rate derivative traders are seeing a dramatic pickup in structured trades playing on a volatility uptick.

  • 07 Jul 2006
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Interest-rate derivative traders are seeing a dramatic pickup in structured trades playing on a volatility uptick. About USD10-20 billion in volatility forwards across maturities has traded over the past six weeks--more than twice as much as six months ago and up from near zero last year. Hedge funds, banks, insurance companies, pension funds and private investors are all getting in on a range of structures positioning for rising interest-rate vol levels.

While sophisticated players are buying forward interest-rate volatility outright, others are investing in structured products which give them exposure to choppy rates.

Traders are attributing the pickup to expectations volatility is due for a cyclical upturn. "We are seeing strong interest in any structure that gets people long volatility," said one New York trader. Two-year implied volatility was at 13.1% Wednesday. "All the indicators are up. We have seen more vol forwards in the last year than in the last 10 years combined."

  • 07 Jul 2006

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 239,928.76 921 8.16%
2 JPMorgan 222,471.63 995 7.57%
3 Bank of America Merrill Lynch 215,931.77 721 7.34%
4 Barclays 184,694.55 670 6.28%
5 Goldman Sachs 158,679.40 515 5.40%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 32,522.19 61 6.59%
2 BNP Paribas 32,284.10 130 6.54%
3 UniCredit 26,992.47 123 5.47%
4 SG Corporate & Investment Banking 26,569.73 97 5.38%
5 Credit Agricole CIB 23,807.36 111 4.82%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Goldman Sachs 10,167.68 46 8.82%
2 JPMorgan 9,894.90 42 8.58%
3 Citi 8,202.25 45 7.11%
4 UBS 6,098.17 23 5.29%
5 Credit Suisse 5,236.02 28 4.54%